The Optimal Control Problem with State Constraints for Forward–Backward Stochastic Systems with Jumps
The Optimal Control Problem with State Constraints for Forward–Backward Stochastic Systems with Jumps
复制标题
带状态约束的前向-后向跳跃随机系统的最优控制问题
DOI：
10.1093/imamci/dnv053
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发表时间：
2017
期刊：
影响因子：
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通讯作者：
Qingmeng Wei
中科院分区：
文献类型：
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作者：
Qingmeng Wei
在本文中，我们研究了具有跳跃的前向-后向随机系统的随机最优控制问题，而前向终端状态被约束在凸集中。将原来的前向-后向控制模型转化为纯后向控制模型，利用终端摄动方法，推导出随机极大值原理，即最优控制的必要条件。最后，在状态约束下，讨论了带跳跃的线性二次随机模型相应的最优控制问题。
In this paper, we investigate the stochastic optimal control problem for forward–backward stochastic system with jumps, while the forward terminal state is constrained in a convex set. By transforming the original forward–backward controlled model into a pure backward controlled one, using the terminal perturbation method, we derive the stochastic maximum principle, i.e. the necessary condition for the optimal control. Finally, under the state constraints, the corresponding optimal control problem of the linear quadratic stochastic model with jumps is discussed.